TRADING RESTRICTIONS, PRICE DYNAMICS AND ALLOCATIVE EFFICIENCY IN DOUBLE AUCTION MARKETS: ANALYSIS BASED ON AGENT-BASED MODELING AND SIMULATIONS-Reference-Cited by-同舟云学术

TRADING RESTRICTIONS, PRICE DYNAMICS AND ALLOCATIVE EFFICIENCY IN DOUBLE AUCTION MARKETS: ANALYSIS BASED ON AGENT-BASED MODELING AND SIMULATIONS

Published:2003-09 Issue:03 Volume:06 Page:283-302
ISSN:0219-5259
Container-title:Advances in Complex Systems
language:en
Short-container-title:Advs. Complex Syst.

Author:

CHEN SHU-HENG¹,TAI CHUNG-CHING¹

Affiliation:

1. AI-ECON Research Center, Department of Economics, National Chengchi University, Taipei, 11623, Taiwan, ROC

Abstract

In this paper we conduct two experiments within an agent-based double auction market. These two experiments allow us to see the effect of learning and smartness on price dynamics and allocative efficiency. Our results are largely consistent with the stylized facts observed in experimental economics with human subjects. From the amelioration of price deviation and allocative efficiency, the effect of learning is vividly seen. However, smartness does not enhance market performance. In fact, the experiment with smarter agents (agents without a quote limit) results in a less stable price dynamics and lower allocative efficiency.

Publisher

World Scientific Pub Co Pte Lt

Subject

Control and Systems Engineering

Link

https://www.worldscientific.com/doi/pdf/10.1142/S021952590300089X

Reference7 articles.

1. Toward an Agent-Based Computational Modeling of Bargaining Strategies in Double Auction Markets with Genetic Programming

2. From the Hayek Hypothesis to Animal Spirits: The Phase Transition Based on Competitive Experimental Market

3. Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality

Cited by 17 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Trading and Pricing Sensor Data in Competing Edge Servers with Double Auction Markets;Journal of Sensors;2021-12-31

2. An auction-based mechanism to promote cooperation in resource exchange networks;Proceedings of the 2021 IEEE/ACM International Conference on Advances in Social Networks Analysis and Mining;2021-11-08

3. Herbert Simon and Agent-Based Computational Economics;Minds, Models and Milieux;2016

4. THE IMPLICATIONS OF TRADER COGNITIVE ABILITIES ON STOCK MARKET PROPERTIES;Intelligent Systems in Accounting, Finance and Management;2013-11-12

5. Varieties of agents in agent-based computational economics: A historical and an interdisciplinary perspective;Journal of Economic Dynamics and Control;2012-01